Difference Between Using Mysql in Xampp and Using Mysql Separately

I have used xampp on windows to do some php programming(basic) and now i'm trying to do some python/perl database connectivity programs(again basic) with mysql. The thing is when i used xampp, it already had the sql but in my college lab we used mysql directly(they had installed it separately) without using xampp...... so i want to know what differences are there in using these 2 methods and which i should know to make sure that I'm learning programming properly ps. if someone could also list syntax differences(if there are any) in db connectivity while using xampp and mysql direclty it would be even more helpful or telling me to refer a link would also be fine